File>Import

If File > Import didn't work then try this:

Export the favorites in IE to an HTML file (bookmarks.html): File > Import and Export Import the HTML file in Firefox 3: Bookmarks > Organize Bookmarks > Import & Backup > Import HTML: From File

Import Internet Explorer Favorites from another computer Import Bookmarks from an HTML file

This did not help me at all! The answer given does not answer the question asked. It says, the question is "How can I bring over my favorites from Internet Explorer?" and the answer is "If File > Import didn't work then try this:" It's hard to know if it worked or not if never told how to do it in the first place.